By definition a child window can not have a menu -- SetMenu API function will not work with a handle to a child window.
I have been trying to find some ways. One idea was to create a proper window with a menu and "glue" it on top of a FoxPro form using API functions.
I developed an ActiveX control in VB -- it worked not too bad, it was really close to a regular menu, and it was on a child window, ShowWindow was not set to 2. Though several things I was not able to program. One of those was hot keys.
Another idea was creating a set of popups, which could mimick a menu. Popup menus can be positioned on any window.